The trading of any financial instrument involves multiple agents. At a minimum it involves the buyer and the seller, and in the case of institutional trading, it may involve more than half a dozen agents on each side. Each trading agent either adds or deducts value from the overall trading objective. From a management perspective, questions to be considered include:
(1) How best to measure the individual contributions of each agent?
(2) How best to measure the synergistic contribution of multiple agents along various segments of the overall trading chain?
(3) How best to measure the trading impact of various agents on the overall portfolio return?
To address the above questions, among others, a preferred embodiment of the subject invention provides a trade cost measurement framework and methods based on the principle that trading agents are vested with specific fiduciary roles demarcated by hand-over instruction sets as well as the accompanying time-stamps.